For typical needs, we recommend starting the TeX Live installation by downloading install-tl.zip for Windows (24mb), or install-tl-unx.tar.gz (2.5mb) for everything else. (Although the .zip archive does work fine on all platforms, the .tar.gz is much smaller, since it omits installation support programs needed only on Windows. The two archives are otherwise identical.)
The above links use the generic mirror.ctan.org url which autoredirects to a CTAN mirror that should be reasonably nearby and reasonably up to date. However, perfect synchronization is not possible; if you have troubles following the links, your best bet is to choose explicitly from the list of CTAN mirrors.
After unpacking the archive, move to the resulting install-tl-* subdirectory. Then follow the quick installation instructions or read the documentation.
If you need to download through proxies, use a ~/.wgetrc file or environment variables with the proxy settings for wget. TeX Live always uses GNU wget to download.
With this network-based installation method, what you end up installing is whatever packages are current. This is in contrast with the other installation methods, which are kept stable between public releases.
Information about downloading/mirroring the TeX Live archive repository is available separately, as well as other ways to acquire TeX Live.